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T-Systems and the lower Snell envelope

  • Erick Trevino Aguilar

The dynamical analysis of American options has motivated the development of robust versions of the classical Snell envelopes. The cost of superhedging an American option is characterized by the upper Snell envelope. The infimum of the arbitrage free prices is characterized by the lower Snell envelope. In this paper we focus on the lower Snell envelope. We construct a regular version of this stochastic process. To this end, we apply results due to Dellacherie and Lenglart on regularization of stochastic processes and T -Systems.

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File URL: http://arxiv.org/pdf/0902.4245
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Paper provided by arXiv.org in its series Papers with number 0902.4245.

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Date of creation: Feb 2009
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Handle: RePEc:arx:papers:0902.4245
Contact details of provider: Web page: http://arxiv.org/

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